CBOE Volatility Index

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How volatility evolves over time

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{name} Model Equation

How returns affect tomorrow's volatility

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Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6492	3.80***
α ARCH Response to squared shocks	0.2278	4.33***
β GARCH Volatility persistence	0.8081	16.17***
γ leverage Additional response to negative shocks	0.0344	0.73

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Fate Therapeutics Inc EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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